ESGtoolkit (version 0.2.0)

esgdiscountfactor: Stochastic discount factors or discounted values

Description

This function provides calculation of stochastic discount factors or discounted values

Usage

esgdiscountfactor(r, X)

Arguments

r

the short rate, a numeric (constant rate) or a time series object

X

the asset's price, a numeric (constant payoff or asset price) or a time series object

Details

The function result is :

$$X_t exp(-\int_0^t r_s ds)$$

where \(X_t\) is an asset value at a given maturity \(t\), and \((r_s)_s\) is the risk-free rate.

See Also

esgmcprices, esgmccv

Examples

# NOT RUN {
kappa <- 1.5
V0 <- theta <- 0.04
sigma_v <- 0.2
theta1 <- kappa*theta
theta2 <- kappa
theta3 <- sigma_v

# OU
r <- simdiff(n = 10, horizon = 5, 
               frequency = "quart",  
               model = "OU", 
               x0 = V0, theta1 = theta1, theta2 = theta2, theta3 = theta3)

# Stochastic discount factors
esgdiscountfactor(r, 1)
# }